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DIW Discussion Papers 1915 / 2020
We construct a novel database of monthly foreign exchange interventions for 49 countries over up to 22 years. We build on a text classification approach that extracts information about interventions from news articles and calibrate our procedure to data about actual interventions. Our new dataset allows us to document stylized facts about the use of foreign exchange interventions for countries that ...
2020| Marcel Fratzscher, Tobias Heidland, Lukas Menkhoff, Lucio Sarno, Maik Schmeling
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DIW Discussion Papers 1721 / 2018
We study the characteristics of inflation targeting as a shock absorber, using quarterly data for a large panel of countries. To overcome an endogeneity problem between monetary regimes and the likelihood of crises, we propose to study large natural disasters. We find that inflation targeting improves macroeconomic performance following such exogenous shocks. It lowers inflation, raises output growth, ...
2018| Marcel Fratzscher, Christoph Grosse Steffen, Malte Rieth
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DIW Discussion Papers 1518 / 2015
This study examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing the path of exchange rates, and in stabilizing the exchange rate in countries with narrow band regimes. ...
2015| Marcel Fratzscher, Oliver Goede, Lukas Menkhoff, Lucio Sarno, Tobias Stöhr
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DIW Discussion Papers 1479 / 2015
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification. The paper finds that euro ...
2015| Michael Ehrmann, Marcel Fratzscher
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DIW Discussion Papers 1448 / 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard ...
2015| Marcel Fratzscher, Malte Rieth
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DIW Discussion Papers 1411 / 2014
The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro area. Our results suggest that expansionary monetary policy in the source countries – as measured by the ...
2014| Franziska Bremus, Marcel Fratzscher
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DIW Discussion Papers 1352 / 2014
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small. By contrast, there has been substantial ...
2014| Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl
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DIW Discussion Papers 1343 / 2013
Are capital controls and macroprudential measures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias and endogeneity; countries which change their capital-flow management measures (CFMs) often share specific characteristics and are responding to changes in variables that the CFMs are intended to influence. This paper addresses these challenges by ...
2013| Kristin Forbes, Marcel Fratzscher, Roland Straub
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DIW Discussion Papers 1304 / 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US and globally across 65 countries. Yet Fed policies functioned in a procyclical manner for capital flows to ...
2013| Marcel Fratzscher, Marco Lo Duca, Roland Straub
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DIW Discussion Papers 1302 / 2013
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are significantly affected by changes ...
2013| Marcel Fratzscher, Daniel Schneider, Ine Van Robays